Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 5 5 5
Score 8.09 11.45 7.72
Market Cap (Millions USD) 1979.7 1752.69 1584.33
Predicted Beta 3.5 3.5 3.5
Idiosyncratic Volatility 5.64 5.47 5.39

Annualized return and volatility

SOXX
Annualized Return 0.0770
Annualized Std Dev 0.3116
Annualized Sharpe (Rf=0%) 0.2469

Row

Daily Return Statistics

SOXX
Observations 4721.0000
NAs 393.0000
Minimum -0.1095
Quartile 1 -0.0093
Median 0.0006
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0105
Maximum 0.1172
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0004
Stdev 0.0196
Skewness 0.1115
Kurtosis 3.0428

Downside Risk

SOXX
Semi Deviation 0.0138
Gain Deviation 0.0139
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0183
Downside Deviation (Rf=0%) 0.0136
Downside Deviation (0%) 0.0136
Maximum Drawdown 0.7021
Historical VaR (95%) -0.0311
Historical ES (95%) -0.0450
Modified VaR (95%) -0.0300
Modified ES (95%) -0.0430
From Trough To Depth Length To Trough Recovery
2001-08-03 2008-11-20 2014-02-12 -0.7021 3205 1869 1336
2018-03-13 2018-12-24 2019-03-21 -0.2525 263 203 60
2015-06-02 2015-08-25 2016-07-18 -0.2464 289 61 228
2019-04-25 2019-05-31 2019-07-24 -0.1816 64 26 38
2014-09-19 2014-10-13 2014-11-21 -0.1645 47 17 30

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec SOXX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA 5.2 0.0 -3.3 6.1 0.0 0.0 8.0
2002 -1.0 9.3 2.5 0.4 0.0 -4.5 -5.5 0.0 5.7 4.9 0.0 0.0 11.3
2003 0.0 0.0 0.6 -0.1 0.0 1.9 1.2 0.0 1.5 0.0 1.0 0.0 6.3
2004 0.0 1.7 2.0 0.0 -0.9 -3.7 0.0 1.3 4.7 0.4 4.2 0.0 9.9
2005 1.2 2.2 -1.3 0.0 0.7 0.3 0.2 -1.0 0.0 -1.1 3.4 0.0 4.7
2006 1.0 3.9 0.0 -0.9 2.3 0.0 -2.1 -0.9 0.0 -1.8 -1.4 0.0 0.0
2007 0.8 -0.7 0.0 0.3 0.9 0.0 0.5 0.0 2.1 -1.7 0.0 0.0 2.2
2008 5.3 0.0 4.2 3.7 0.0 -0.4 -0.9 0.0 -0.5 0.0 -7.6 0.0 3.3
2009 0.0 0.0 1.7 0.3 5.3 1.6 0.0 -2.6 -4.8 0.0 3.2 0.0 4.6
2010 3.4 2.4 0.0 0.0 -2.1 -0.2 0.0 2.9 -0.1 -0.3 3.0 0.0 9.1
2011 2.5 -1.9 -1.1 0.0 -2.9 2.1 -0.1 -1.6 0.0 -3.2 0.7 0.0 -5.6
2012 2.2 0.1 0.0 0.3 -4.3 0.0 0.0 0.0 -0.4 3.1 0.0 0.0 0.9
2013 1.9 -0.4 -2.0 -0.8 0.0 -0.1 1.7 0.0 1.0 -0.4 0.0 0.0 0.8
2014 0.0 0.0 1.6 -0.3 0.0 1.4 0.3 0.0 -2.4 0.0 -1.3 0.0 -0.8
2015 0.0 0.0 -0.6 2.8 0.1 0.2 0.0 -3.5 -1.2 0.0 1.6 0.0 -0.9
2016 0.4 2.7 0.7 0.0 0.5 -0.8 0.1 0.8 0.0 -0.9 -4.9 0.0 -1.5
2017 1.6 1.6 0.0 1.0 0.1 0.0 0.6 0.4 0.0 -0.4 -1.1 0.0 3.9
2018 -0.5 -1.6 0.0 1.6 2.3 0.0 -0.1 0.0 0.3 4.7 0.0 0.0 6.8
2019 1.2 0.9 2.5 -0.8 0.0 2.5 -2.0 0.0 -0.9 2.3 0.0 0.2 5.9

Row

Rolling Performance Chart

Snail Trail Chart